Skip to content

use prefix sums in estimators #11

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Merged
jucheval merged 2 commits into from
Apr 26, 2026
Merged

use prefix sums in estimators #11

Changes from all commits
Commits
Show all changes
2 commits
Select commit Hold shift + click to select a range
43a90e5
refactor: use prefix sums in scalar estimators
jucheval Apr 26, 2026
f474639
refactor: use shared prefix sums in vector estimators
jucheval Apr 26, 2026
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
26 changes: 18 additions & 8 deletions src/estimation.jl
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -22,18 +22,23 @@ function estimators(

Z_T = sum(X; dims=2)
∑X = sum(X; dims=1)
cs_∑X = cumsum(vec(∑X))
Z̄_T = mean(Z_T)
m̂ = Z̄_T / T
v̂ = (N) * (T + 1) * T^(-3) * (mean(Z_T .^ 2) - T / (T + 1) * (Z̄_T + Z̄_T^2))
WΔ = 0.0
for iter in 1:div(T, Δ)
WΔ += (N) / T * (sum(∑X[(1 + (iter - 1) * Δ):(iter * Δ)]) / (N) - Δ * m̂)^2
lo = 1 + (iter - 1) * Δ
hi = iter * Δ
block_sum = lo == 1 ? cs_∑X[hi] : cs_∑X[hi] - cs_∑X[lo - 1]
WΔ += (N) / T * (block_sum / (N) - Δ * m̂)^2
end
W2Δ = 0.0
for iter in 1:div(T, 2 * Δ)
W2Δ +=
(N) / T *
(sum(∑X[(1 + (iter - 1) * 2 * Δ):(iter * 2 * Δ)]) / (N) - 2 * Δ * m̂)^2
lo = 1 + (iter - 1) * 2 * Δ
hi = iter * 2 * Δ
block_sum = lo == 1 ? cs_∑X[hi] : cs_∑X[hi] - cs_∑X[lo - 1]
W2Δ += (N) / T * (block_sum / (N) - 2 * Δ * m̂)^2
end
ŵ = 2 * W2Δ - WΔ

Expand All @@ -52,6 +57,7 @@ function estimators(

Z_T = sum(X; dims=2)
∑X = sum(X; dims=1)
cs_∑X = cumsum(vec(∑X))
Z̄_T = mean(Z_T)
m̂ = Z̄_T / T
v̂ = (N) * (T + 1) * T^(-3) * (mean(Z_T .^ 2) - T / (T + 1) * (Z̄_T + Z̄_T^2))
Expand All @@ -62,13 +68,17 @@ function estimators(
end
WΔ = 0.0
for iter in 1:div(T, Δ)
WΔ += (N) / T * (sum(∑X[(1 + (iter - 1) * Δ):(iter * Δ)]) / (N) - Δ * m̂)^2
lo = 1 + (iter - 1) * Δ
hi = iter * Δ
block_sum = lo == 1 ? cs_∑X[hi] : cs_∑X[hi] - cs_∑X[lo - 1]
WΔ += (N) / T * (block_sum / (N) - Δ * m̂)^2
end
W2Δ = 0.0
for iter in 1:div(T, 2 * Δ)
W2Δ +=
(N) / T *
(sum(∑X[(1 + (iter - 1) * 2 * Δ):(iter * 2 * Δ)]) / (N) - 2 * Δ * m̂)^2
lo = 1 + (iter - 1) * 2 * Δ
hi = iter * 2 * Δ
block_sum = lo == 1 ? cs_∑X[hi] : cs_∑X[hi] - cs_∑X[lo - 1]
W2Δ += (N) / T * (block_sum / (N) - 2 * Δ * m̂)^2
end
push!(ŵ, 2 * W2Δ - WΔ)
end
Expand Down
Loading